Stochastic optimization in continuous time

Stochastic Optimization in Continuous Ti

📁 Stochastic Optimization in Continuous Time

✍ Fwu-Ranq Chang 📂 Library 📅 2004 🏛 Cambridge University Press 🌐 English

Most of the current books on stochastic control theory are written for students in mathematics or finance. This introduction is designed, however, for those interested in the relevance and applications of the theory's mathematical principles to economics. Therefore, mathematical methods are discusse

Optimal portfolios: stochastic models fo

📁 Optimal portfolios: stochastic models for optimal investment and risk management in continuous time

✍ Ralf Korn 📂 Library 📅 1997 🏛 World Scientific 🌐 English

Relative Optimization of Continuous-Time

📁 Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems

✍ Xi-Ren Cao 📂 Library 📅 2020 🏛 Springer 🌐 English

This monograph applies the relative optimization approach to time nonhomogeneous continuous-time and continuous-state dynamic systems. The approach is intuitively clear and does not require deep knowledge of the mathematics of partial differential equations. The topics covered have the following

Continuous-time Stochastic Control and O

📁 Continuous-time Stochastic Control and Optimization with Financial Applications

✍ Huyên Pham (auth.) 📂 Library 📅 2009 🏛 Springer-Verlag Berlin Heidelberg 🌐 English

Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control.This volume provides a systemati

Continuous-time Stochastic Control and O

📁 Continuous-time Stochastic Control and Optimization with Financial Applications

✍ Huyên Pham (auth.) 📂 Library 📅 2009 🏛 Springer-Verlag Berlin Heidelberg 🌐 English

Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control.This volume provides a systemati

Stochastic control in discrete and conti

📁 Stochastic control in discrete and continuous time

✍ Atle Seierstad (auth.) 📂 Library 📅 2009 🏛 Springer US 🌐 English

This book provides a comprehensive introduction to stochastic control problems in discrete and continuous time. The material is presented logically, beginning with the discrete-time case before proceeding to the stochastic continuous-time models. Central themes are dynamic programming in discr